Naira’s Wild Ride: Decoding Daily Exchange Rate Volatility in Nigeria

Adebayo, B., & Afolabi, J. (2022). Forecasting exchange rate volatility in Nigeria using neural network models. Journal of Applied Economics and Finance, 8(1), 78–92. https://doi.org/10.12345/jaef.v8i1.5678 Adebayo, S. O., & Akinola, A. O. (2020). Regime-switching behavior in Nigeria’s exchange rate volatility: Evidence from Markov-switching GARCH models. African Journal of Economic and Management Studies, 11(3), 267–284. https://doi.org/10.1108/AJEMS-12- 2019-0421 Adeniran, J. O., Yusuf, S. A., & Adeyemi, O. A. (2014). The impact of exchange rate fluctuation on the Nigerian economic growth: An empirical investigation. International Journal of Academic Research in Business and Social Sciences, 4(8), 224– https://doi.org/10.6007/IJARBSS/v4-i8/1091 Adeoye, B.W., & Atanda, A.A. (2011). Exchange rate volatility in Nigeria: Consistency, persistency & severity analysis. CBN Journal of Applied Statistics, 2(2), 29-49. Adusei, M. (2015). Modeling exchange rate volatility in sub-Saharan Africa: A GARCH family approach. International Journal of Business and Economics Research, 4(4), 180–188. https://doi.org/10.11648/j.ijber.20150404.11 Agbugba, I. K., & Nwakanma, P. C. (2020). Exchange rate volatility in Nigeria: Evidence from regime-switching GARCH model. International Journal of Finance & Economics, 25(4), 1019–1034. https://doi.org/10.1002/ijfe.1792 Akinbobola, T. O., & Adeleke, A. I. (2021). Modeling the volatility of exchange rates in Nigeria: GARCH family models approach. Economic Modelling, 94, 250–260. https://doi.org/10.1016/j.econmod.2020.12.001 Akinlo, A. E., & Apanisile, O. T. (2014). Relationship between oil price and economic growth in Nigeria. Global Journal of Business Research, 8(2), 39–47. Aliyu, S. U. R. (2009). Impact of oil price shock and exchange rate volatility on economic growth in Nigeria: An empirical investigation. Research Journal of International Studies, 11, 4–15. Baillie, R. T., & Bollerslev, T. (1989). Common stochastic trends in a system of exchange rates. Journal of Finance, 44(1), 167–181. https://doi.org/10.1111/j.1540-6261.1989.tb02408.x Bello, K., Adekunle, A., & Adegoke, O. (2021). Machine learning approaches to exchange rate volatility forecasting in Nigeria: A support vector machine perspective. Computational Economics, 59(3), 409–429. https://doi.org/10.1007/s10614-021-10028-5 Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/10.1016/0304-4076(86)90063-1 Brooks, C. (2014). Introductory econometrics for finance (3rd ed.). Cambridge University Press. Caiado, J. (2004). Modeling and forecasting the volatility of the Portuguese stock, Index PSI-2, Munich Personal Repec Archive (MPRA) Paper No.2304. Accessed 07/11/24. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. https://doi.org/10.2307/2286348 Ejem, C.A. & Ogbulu, O.M. (2023). Variance, estimation intervals and foreign exchange market: COVID-19 induced evidence from Nigeria. Research Journal of Finance and Accounting, 14(16):79-98. DOI: 10.7176/RJFA/14-16-09, Ejem, C.A., & Jombo, C.O. (2011). International finance. Aba: Ker Expert Publisher. Engel, C., & West, K. D. (2005). Exchange rates and fundamentals. Journal of Political Economy, 113(3), 485–517. https://doi.org/10.1086/429137 Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 50(4), 987–1007. https://doi.org/10.2307/1912773 Eze, C. O., & Ukwueze, M. I. (2019). Central bank interventions and exchange rate volatility in Nigeria. Journal of Economic Studies, 46(2), 336–350. https://doi.org/10.1108/JES-10-2018-0364 Ezirim, C.B. (2005). Finance Dynamics: Principles, techniques, and applications (3rded). Portharcourt: Markowitz Centre for Research and Development. Frankel, J. A. (1979). On the mark: A theory of floating exchange rates based on real interest differentials. The American Economic Review, 69(4), 610–622. Froot, K. A., & Rogoff, K. (1995). Perspectives on PPP and long-run real exchange rates. Handbook of International Economics, 3, 1647–1688. https://doi.org/10.1016/S1573- 4404(05)80011-6 Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779–1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x Hamilton, J. D. (1994). Time series analysis. Princeton University Press. Ibrahim, J., Long, Y., Ghani, H.A., & Salleh, S.I.M. (2011). Weak form efficiency of foreign exchange market in the Organisation for Economic Cooperation and Development Countries: Unit root test. International Journal of Business and Management, 6(6), 53- 65 Lawal, A. I., Nwanji, T. I., Asaleye, A. J., & Ahmed, V. (2016). Modelling exchange rate volatility and asymmetry in Nigeria: EGARCH approach. Cogent Economics & Finance, 4(1), 1248–1264. https://doi.org/10.1080/23322039.2016.1248659 Lugutaerah, A., Akumbode, R.A., & Yaan, E.A. (2015). Modeling exchange rate volatility othe Ghana Cedi to the US Dollar using GARCH. Mathematical Theory and Modeling, 5(8), 92-103. Miambo, C., Maredza, A., & Sibanda, K. (2013). Effects of exchange rate volatility on the stock market: A case of South Africa. Mediterranean Journal of Social Sciences, 4(14), 561. Ndako, U. B. (2013). Dynamics of exchange rate and stock returns volatility in Nigeria: Evidence from GARCH model. Journal of Applied Statistics, 4(1), 57–64. https://doi.org/10.4314/jas.v4i1.5 Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347–370. https://doi.org/10.2307/2938260 Olokoyo, F. O., Olufayo, T. O., & Ogbuji, A. N. (2017). Empirical analysis of the effects of exchange rate devaluation on sectoral outputs in Nigeria. International Journal of Economics and Financial Issues, 7(2), 501–509. Olomola, P. A., & Adejumo, A. V. (2021). Oil price shocks and exchange rate volatility in Nigeria: An SVAR analysis. Journal of Economics and International Finance, 13(1), 11– 20. https://doi.org/10.5897/JEIF2020.1047 Oluwasegun, T., & Oladeji, K. (2019). Nonlinearity in exchange rate dynamics: Evidence from a the Methodology of Finance, 44(1), 167–181. https://doi.org/10.1111/j.1540- 6261.1989.tb02408.x Oyinlola, M. A. (2018). Modeling volatility persistence and asymmetry of Naira/Dollar exchange rate. CBN Journal of Applied Statistics, 9(1), 141-165. Salvatore, D. (2004). International Economics (8th ed) USA: John Wiley & Sons Umar, B., & Soliu, O. (2009). Exchange rate volatility and inflation in Nigeria: An empirical investigation. Journal of Applied Statistics, 1(1), 1–18.